Are you creating the window using slabs?
If that's the case then you need another slab which transcribes the outline of your window exactly, and then in the slab Selection settings of that slab under 'Classification and Properties', change the ID (under 'ID and Categories) to say 'WALLHOLE' and then save it together with the rest of the window as your window object.
EDIT : I believe it works the same way with Morphs as well. If you're creating the window using a Morph object you need another Morph object that outlines your window outline and same deal, change the ID under Classification and Properties to say 'WALLHOLE' before you save it together with the original morph as your custom window object.
This tells the program what to use as the outline of your window shape or else it uses a default square (or rectangle) bounding box extrusion.